Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 4 4 6
Score -2.7 -1.54 0.12
Market Cap (Millions USD) 1862.47 1879.18 1919.28
Predicted Beta 0.8 0.81 0.81
Idiosyncratic Volatility 1.52 1.66 1.71

Annualized return and volatility

SLYG
Annualized Return 0.0644
Annualized Std Dev 0.2298
Annualized Sharpe (Rf=0%) 0.2800

Row

Daily Return Statistics

SLYG
Observations 4920.0000
NAs 194.0000
Minimum -0.0948
Quartile 1 -0.0063
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0078
Maximum 0.1415
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0145
Skewness -0.0435
Kurtosis 5.7452

Downside Risk

SLYG
Semi Deviation 0.0104
Gain Deviation 0.0101
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0102
Downside Deviation (0%) 0.0102
Maximum Drawdown 0.6215
Historical VaR (95%) -0.0227
Historical ES (95%) -0.0341
Modified VaR (95%) -0.0220
Modified ES (95%) -0.0349
From Trough To Depth Length To Trough Recovery
2000-10-03 2002-10-09 2007-02-01 -0.6215 1617 513 1104
2007-10-11 2009-03-09 2010-12-06 -0.6003 809 363 446
2018-09-04 2018-12-24 NA -0.2718 336 79 NA
2011-07-08 2011-10-03 2012-03-19 -0.2629 178 62 116
2015-06-23 2016-02-11 2016-07-12 -0.1945 270 165 105

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec SLYG
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA 0.0 1.4 0.0 1.4
2001 -1.2 -2.2 0.0 1.9 0.5 0.0 1.1 0.0 -2.0 2.1 0.0 0.0 0.3
2002 -1.0 2.9 -0.9 -0.8 0.0 -4.6 -1.1 0.0 -0.2 0.0 0.0 0.0 -5.7
2003 0.0 0.0 0.0 0.4 0.0 1.1 -1.3 0.0 2.1 0.0 1.5 0.0 3.8
2004 0.0 1.7 0.5 0.0 0.7 -1.1 0.0 1.4 1.5 0.4 1.6 0.0 7.0
2005 0.8 0.8 -0.6 0.0 0.2 -0.2 0.3 0.6 0.0 -0.4 1.6 0.0 3.2
2006 0.2 1.4 0.0 -0.3 2.3 0.0 -1.8 0.2 0.0 -1.9 -1.1 0.0 -1.1
2007 0.7 -0.1 0.0 0.0 0.8 0.0 0.1 0.0 1.9 -2.6 0.0 0.0 0.9
2008 2.6 0.0 2.7 1.1 0.0 0.0 0.2 0.0 -1.4 0.0 -9.4 0.0 -4.6
2009 0.0 0.0 0.6 0.4 4.4 1.3 0.0 -2.7 -3.5 0.0 2.0 0.0 2.4
2010 1.7 2.1 1.0 0.0 -2.8 -0.8 0.0 3.3 0.3 -1.1 2.1 0.0 5.6
2011 1.7 -1.3 0.4 0.0 -2.5 1.3 -0.8 -1.6 0.0 -3.2 0.9 0.0 -5.2
2012 2.1 1.1 0.0 0.3 -2.5 0.0 -1.6 0.0 -0.1 1.2 0.0 0.0 0.4
2013 1.3 0.0 -1.3 -1.8 0.0 1.6 1.3 0.0 1.2 -0.8 0.0 0.0 1.3
2014 0.0 0.0 1.2 0.3 0.0 1.5 -0.6 0.0 -2.0 0.0 -1.5 0.0 -1.1
2015 0.0 0.0 0.0 0.6 0.4 0.5 0.0 -2.7 -0.2 0.0 0.7 0.0 -0.8
2016 0.0 2.1 0.3 0.0 1.0 0.2 -0.1 0.1 0.0 -1.5 -0.3 0.0 1.9
2017 -0.1 1.7 0.0 0.7 1.8 0.0 0.3 0.7 0.0 -0.5 -0.8 0.0 3.8
2018 0.6 -0.7 0.0 0.7 0.9 0.0 0.3 0.0 -1.6 2.5 0.0 0.0 2.6
2019 -0.3 0.6 0.9 -0.7 0.0 0.4 -1.1 0.0 -1.9 1.3 0.0 0.2 -0.8

Row

Rolling Performance Chart

Snail Trail Chart